scholarly journals Macro Variable Determinants of Exchange Rates in Vietnam

2020 ◽  
Vol 7 (1) ◽  
pp. 18
Author(s):  
Ly Phuong TRAN ◽  
Binh Thi Thanh DAO
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Stock Market Index ◽  
Market Index ◽  
Long Term Effect ◽  
Main Culprit ◽  
Japanese Yen ◽  
Macro Variables ◽  
Currency Conversion

Exchange rate is the value of one nation’s currency that can be converted into others, or the unit of the domestic currency needed to buy 1 unit of foreign money system. It is an obvious that exchange rate has always been acknowledged as the main culprit behind several economic phenomena, playing a significant role in determining the change of the economy. Due to its importance, exchange rate allows comparison of good prices among countries or the transfer of funds in different nations, accounting for the health of one economy. This paper aims to take a closer look at the roles of several economic variables on the movement of exchange rate, studying the short term and long term effect as well as the beneficial or detrimental impacts contributing to the fluctuation of the currency conversion value. This research focuses on the fluctuation of three exchange rates, which are Japanese Yen, United State Dollar, Euro to Vietnamese Dong. The chosen macro variables for analyzing include economic growth, export, import, inflation, foreign direct investment, budget deficit, stock market index, crude oil price, balance of payment between Vietnam and other countries for a sample of 15 years from 2003 to 2017 quarterly.

scholarly journals Relationships among Energy Price Shocks, Stock Market, and the Macroeconomy: Evidence from China

2013 ◽  
Vol 2013 ◽  
pp. 1-9 ◽  
Author(s):  
Rong-Gang Cong ◽  
Shaochuan Shen
Keyword(s):  
Stock Market ◽  
Energy Price ◽  
Stock Market Index ◽  
Price Shocks ◽  
Market Index ◽  
Time Period ◽  
Long Term Effect ◽  
Lag Effect ◽  
The Interest Rate

This paper investigates the interactive relationships among China energy price shocks, stock market, and the macroeconomy using multivariate vector autoregression. The results indicate that there is a long cointegration among them. A 1% rise in the energy price index can depress the stock market index by 0.54% and the industrial value-adding growth by 0.037%. Energy price shocks also cause inflation and have a 5-month lag effect on stock market, which may result in the stock market “underreacting.” The energy price can explain stock market fluctuations better than the interest rate over a longer time period. Consequently, investors should pay greater attention to the long-term effect of energy on the stock market.

scholarly journals Exchange Rates and Monetary Fundamentals: What Do We Learn from Linear and Nonlinear Regressions?

2014 ◽  
Vol 2014 ◽  
pp. 1-14 ◽  
Author(s):  
Guangfeng Zhang
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Correction Model ◽  
Exchange Rate Dynamics ◽  
Long Run ◽  
Exchange Rate Movements ◽  
Short Run ◽  
Us Dollar ◽  
Linear And Nonlinear ◽  
Japanese Yen

This paper revisits the association between exchange rates and monetary fundamentals with the focus on both linear and nonlinear approaches. With the monthly data of Euro/US dollar and Japanese yen/US dollar, our linear analysis demonstrates the monetary model is a long-run description of exchange rate movements, and our nonlinear modelling suggests the error correction model describes the short-run adjustment of deviations of exchange rates, and monetary fundamentals are capable of explaining exchange rate dynamics under an unrestricted framework.

scholarly journals The Impacts of Oil Prices, Exchange Rate and COVID-19 Pandemic on BIST Petrochemical Market

2021 ◽  
Vol 7 (1) ◽  
pp. 17-33
Author(s):  
Seval Mutlu Çamoğlu
Keyword(s):  
Exchange Rate ◽  
Raw Materials ◽  
Oil Prices ◽  
Stock Market Index ◽  
Monthly Data ◽  
Information Index ◽  
Market Index ◽  
The Impact ◽  
Index Exchange ◽  
Liberal Market Economy

Stock markets are developing with the economic growth of the countries in a liberal market economy. Petrochemicals is an indicator of the performance of the country's industry with high inter-industry linkage by providing input to several sectors, producing various outputs with a certain number of raw materials. The COVID-19 pandemic period has affected all markets worldwide and caused fluctuations in the index values of large firms in the petrochemical industry in Borsa Istanbul (BIST). This study analyzes the impact of the pandemic period and change in the oil prices and exchange rate on the petrochemical market in Turkey. The monthly data of petrochemical stock market index, exchange rate, oil prices are used in this time series analysis. A pandemic information index representing the COVID-19 pandemic was derived and included in the model. According to the results, it is observed that the most important determinant of the fluctuations on the BIST petrochemical index is the oil prices. While a shock in oil prices negatively affects the BIST petrochemical index, the petrochemical index responds positively to the shock in the pandemic index.

The Effect of Covid-19, Rupiah Exchange Rate, and Inflation on the Indonesia Sharia Stock Index during the Covid-19 Pandemic

2021 ◽  
Vol 4 (1) ◽  
pp. 313-336
Author(s):  
Achmad Agus Priyono ◽  
Ari Kartiko
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Negative Impact ◽  
Stock Index ◽  
Series Data ◽  
Stock Market Index ◽  
Short Term ◽  
The Us ◽  
Us Dollar

Purpose of this study is to clarify the effect of the number of daily cases reported to have contracted the Covid-19 virus, the exchange rate of the rupiah against the US dollar and inflation on the movement of the Indonesian Sharia stock index (ISSI) during the Pandemic Covid 19 in the short term and long term. Data analysis methods that used is analysis Error Correction Mechanism (ECM) using Eviews software 10. The data collected is daily time series data starting from March 2, 2020 to May 31, 2021 so that the number of samples collected obtained as many as 283 samples . The results of the study stated that the addition of the daily number of reported cases of contracting the Covid-19 virus has a negative impact on The Indonesian Sharia Stock Market Index (ISSI) during the Covid-19 pandemic, so that encourage the weakening of the Stock Index both in the long and long term short. Likewise, the weakening of the rupiah against the US dollar will caused the fall of the sharia index during the Covid 19 pandemic, both in the long term and long and short term. However, the study found no effect inflation on the Indonesian Sharia Stock Index (ISSI) during the Covid19 pandemic, good long term and short term

An Application of Genetic Programming to Forecasting Foreign Exchange Rates

2010 ◽  
pp. 26-48
Author(s):  
Muneer Buckley ◽  
Zbigniew Michalewicz ◽  
Ralf Zurbruegg
Keyword(s):  
Exchange Rate ◽  
Genetic Programming ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Economic Model ◽  
Dynamic Environments ◽  
Foreign Exchange Rates ◽  
Better Than ◽  
Made In

There is a great need for accurate predictions of foreign exchange rates. Many industries participate in foreign exchange scenarios with little idea where the exchange rate is moving, and what the optimum decision to make at any given time is. Although current economic models do exist for this purpose, improvements could be made in both their flexibility and adaptability. This provides much room for models that do not suffer from such constraints. This chapter proposes the use of a genetic program (GP) to predict future foreign exchange rates. The GP is an extension of the DyFor GP tailored for forecasting in dynamic environments. The GP is tested on the Australian / US (AUD/USD) exchange rate and compared against a basic economic model. The results show that the system has potential in forecasting long term values, and may do so better than established models. Further improvements are also suggested.

EXTENDED DAILY EXCHANGE RATES FORECASTS USING WAVELET TEMPORAL RESOLUTIONS

2005 ◽  
Vol 01 (01) ◽  
pp. 79-107 ◽  
Author(s):  
MAK KABOUDAN
Keyword(s):  
Neural Networks ◽  
Artificial Neural Networks ◽  
Exchange Rate ◽  
Random Walk ◽  
Genetic Programming ◽  
Exchange Rates ◽  
Us Dollar ◽  
Artificial Neural ◽  
Japanese Yen ◽  
The One

Applying genetic programming and artificial neural networks to raw as well as wavelet-transformed exchange rate data showed that genetic programming may have good extended forecasting abilities. Although it is well known that most predictions of exchange rates using many alternative techniques could not deliver better forecasts than the random walk model, in this paper employing natural computational strategies to forecast three different exchange rates produced two extended forecasts (that go beyond one-step-ahead) that are better than naïve random walk predictions. Sixteen-step-ahead forecasts obtained using genetic programming outperformed the one- and sixteen-step-ahead random walk US dollar/Taiwan dollar exchange rate predictions. Further, sixteen-step-ahead forecasts of the wavelet-transformed US dollar/Japanese Yen exchange rate also using genetic programming outperformed the sixteen-step-ahead random walk predictions of the exchange rate. However, random walk predictions of the US dollar/British pound exchange rate outperformed all forecasts obtained using genetic programming. Random walk predictions of the same three exchange rates employing raw and wavelet-transformed data also outperformed all forecasts obtained using artificial neural networks.

scholarly journals A Three-State Markov-Modulated Switching Model for Exchange Rates

2016 ◽  
Vol 2016 ◽  
pp. 1-9 ◽  
Author(s):  
Idowu Oluwasayo Ayodeji
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Markov Switching ◽  
The Other ◽  
Markov Switching Model ◽  
Switching Model ◽  
Empirical Results ◽  
Proposed Model ◽  
Markov Modulated ◽  
Japanese Yen

Several authors have examined the long swings hypothesis in exchange rates using a two-state Markov switching model. This study developed a model to investigate long swings hypothesis in currencies which may exhibit ak-state(k≥2)pattern. The proposed model was then applied to euros, British pounds, Japanese yen, and Nigerian naira. Specification measures such as AIC, BIC, and HIC favoured a three-state pattern in Nigerian naira but a two-state one in the other three currencies. For the period January 2004 to May 2016, empirical results suggested the presence of asymmetric swings in naira and yen and long swings in euros and pounds. In addition, taking0.5as the benchmark for smoothing probabilities, choice models provided a clear reading of the cycle in a manner that is consistent with the realities of the movements in corresponding exchange rate series.

scholarly journals CORRELATIONS BETWEEN RECONSTRUCTED EUR EXCHANGE RATES VERSUS CHF, DKK, GBP, JPY AND USD

2001 ◽  
Vol 12 (02) ◽  
pp. 169-195 ◽  
Author(s):  
M. AUSLOOS ◽  
K. IVANOVA
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Point Of View ◽  
Fluctuation Analysis ◽  
The European Union ◽  
Linear Superposition ◽  
Exchange Rate Fluctuations ◽  
Large Size ◽  
Japanese Yen ◽  
Detrended Fluctuation

On 1 January 1999, the European Union introduced a common currency Euro (EUR), to become the legal currency in all eleven countries which form the EUR. In order to test the EUR behavior and understand various features, the EUR exchange rate is artificially extrapolated back to 1993 by a linear superposition of the exchange rates of the 11 currencies composing EUR with respect to several currencies not belonging to the EUR, i.e., Swiss Franc (CHF), Danish Kroner (DKK), British Pound (GBP), Japanese Yen (JPY) and U.S. Dollar (USD) of interest for reasons given in the text. The distribution of fluctuations of the exchange rates is shown to be Gaussian for the central part of the distribution, and having fat tails for the large size fluctuations. Within the Detrended Fluctuation Analysis (DFA) statistical method, we have obtained the power law behavior describing the root-mean-square deviation of the exchange rate fluctuations as a function of time. For the period between January 1995 and January 1999, we have compared the time-dependent exponent of these exchange rate fluctuations for EUR and that of the 11 currencies which form the EUR. The German Mark (DEM) and the French Franc (FRF) have been the currencies primarily leading the fluctuations of the exchange rates, while Italian Lira (ITL) and Portuguese Escudo (PTE) are the less relevant currencies from this point of view. Technical considerations for the EUR implementation are given as conclusions. The cases of exchange rates with DKK appear quite different from the other four major currencies.

Sign in / Sign up

Export Citation Format

Share Document